Pedestrians walk near Goldman Sachs Group Inc.’s headquarters in New York in April.

Police in New York City are investigating an unusual incident that unfolded in the early morning hours on Monday: Two men, dressed in black outfits and wearing helmets, were captured on surveillance video walking near the Goldman Sachs building in Lower Manhattan after apparently parachuting down to the street.

The odd occurrence was announced by New York Police Department Commissioner Raymond Kelly at an unrelated news conference. The Commissioner sounded more bemused than alarmed by the caper, saying it did not appear to pose a threat or have a political bend.

Dare devils, perhaps?

“If they came out of an aircraft, it’s unknown at this time but they were seen walking with parachutes away from the location,” he said. “No banners, no notes were left. Obviously it is something that is under investigation.”

The mystery men apparently landed at 3:07 a.m. near the West Street tower of the financial giant and were captured on camera “landing in some way shape or form,” Mr. Kelly said. He said investigators are reviewing cameras from the vicinity in the hopes of finding additional footage.

The men apparently walked away from the range of the camera that initially recorded them, and it was not known if they left the scene in a vehicle or on foot. Mr. Kelly said the NYPD was alerted by “security personnel” on Monday.